dc.contributor.author | Klingler, Sven | |
dc.contributor.author | Syrstad, Olav | |
dc.date.accessioned | 2023-06-27T08:14:21Z | |
dc.date.available | 2023-06-27T08:14:21Z | |
dc.date.issued | 2023 | |
dc.identifier.isbn | 978-82-8379-282-9 | |
dc.identifier.issn | 1502-8143 | |
dc.identifier.uri | https://hdl.handle.net/11250/3073368 | |
dc.description.abstract | We investigate if the benchmark transition from London Interbank Offered Rate (Libor) to Secured Overnight Financing Rate (SOFR) affects the costs of borrowing floating rate debt. The primary market for dollar-denominated floating rate notes (FRNs) provides an ideal laboratory to study these e ects. Comparing the spreads of FRNs linked to LIBOR and SOFR, issued by the same entity during the same month, we find a significantly lower yield spread for SOFR-linked debt after adjusting for the maturity-matched spreads from the swap market. In addition, despite identification challenges, we observe a quantitatively similar pattern in the syndicated loan market. | en_US |
dc.language.iso | eng | en_US |
dc.publisher | Norges Bank | en_US |
dc.relation.ispartofseries | Working paper;7/2023 | |
dc.rights | Attribution-NonCommercial-NoDerivatives 4.0 Internasjonal | * |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/4.0/deed.no | * |
dc.subject | benchmark rates | en_US |
dc.subject | floating rates | en_US |
dc.subject | financial regulation | en_US |
dc.subject | LIBOR | en_US |
dc.subject | SOFR | en_US |
dc.subject | JEL: E43 | en_US |
dc.subject | JEL: G12 | en_US |
dc.subject | JEL: G18 | en_US |
dc.subject | JEL: G29 | en_US |
dc.title | Does SOFR-linked debt cost borrowers more than LIBOR-linked debt? | en_US |
dc.type | Working paper | en_US |
dc.description.version | publishedVersion | en_US |
dc.subject.nsi | VDP::Samfunnsvitenskap: 200::Økonomi: 210::Samfunnsøkonomi: 212 | en_US |
dc.source.pagenumber | 54 | en_US |